Exponential stability of discrete-time systems with slowly time-varying delays

Slowly time-varying delays are seldom, but do need to be, considered in the context of discrete-time systems. This paper addresses the exponential stability issue of discrete-time systems with slowly time-varying delays. The basic idea is to transform, by utilizing the switching transformation approach, the original system with slowly time-varying delays into an equivalent switched system with special switching signal. Different types of delays correspond to different types of switching signals, and the stability issue of the original system is converted into that of a switched system. It is the first time that the method of switched homogeneous polynomial Lyapunov function is applied to general delayed systems. Some sufficient exponential stability conditions for the original system are proposed in several situations. It is numerically shown that the conservativeness of the proposed conditions reduces as the degree of the switched homogeneous polynomial Lyapunov function increases.     

Neighbor games and the leximax solution

Neighbor games arise from certain matching or sequencing situations in which only some specific pairs of players can obtain a positive gain. As a consequence, the class of neighbor games is the intersection of the class of assignment games (Shapley and Shubik (1972)) and the class of component additive games (Curiel et al. (1994)). We first present some elementary features of neighbor games. After that we provide a polynomially bounded algorithm of order p ³ for calculating the leximax solution (cf. Arin and Iñarra (1997)) of neighbor games, where p is the number of players. This authors work has been supported by CentER and the Department of Econometrics, Tilburg University and by the Foundation for the Hungarian Higher Education and Research (AMFK).     

Sequencing games with repeated players

Two classes of one machine sequencing situations are considered in which each job corresponds to exactly one player but a player may have more than one job to be processed, so called RP(repeated player) sequencing situations. In max-RP sequencing situations it is assumed that each player’s cost function is linear with respect to the maximum completion time of his jobs, whereas in min-RP sequencing situations the cost functions are linear with respect to the minimum completion times. For both classes, following explicit procedures to go from the initial processing order to an optimal order for the coalition of all players, equal gain splitting rules are defined. It is shown that these rules lead to core elements of the associated RP sequencing games. Moreover, it is seen that min-RP sequencing games are convex. We thank two referees for their valuable suggestions for improvement. Financial support for P. Calleja has been given by the Ministerio de Educación y Ciencia and FEDER under grant SEJ2005-02443/ECON, and by the Generalitat de Catalunya through a BE grant from AGAUR and grant 2005SGR00984.     

On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes

This paper studies the bailout optimal dividend problem with regime switching under the constraint that dividend payments can be made only at the arrival times of an independent Poisson process while capital can be injected continuously in time. We show the optimality of the regime-modulated Parisian-classical reflection strategy when the underlying risk model follows a general spectrally negative Markov additive process. In order to verify the optimality, first we study an auxiliary problem driven by a single spectrally negative Lévy process with a final payoff at an exponential terminal time and characterize the optimal dividend strategy. Then, we use the dynamic programming principle to transform the global regime-switching problem into an equivalent local optimization problem with a final payoff up to the first regime switching time. The optimality of the regime modulated Parisian-classical barrier strategy can be proven by using the results from the auxiliary problem and approximations via recursive iterations.     

Nonlinear criteria for the existence of the exponential trichotomy in infinite dimensional spaces

In this paper we obtain for the first time nonlinear conditions for the existence of the exponential trichotomy of skew-product flows in infinite dimensional spaces. We treat the most general case without any additional assumptions concerning the cocycle and without assuming a priori the existence of the projection families. We show that an inedit assembly of integral conditions imply the existence of the exponential trichotomy with all of its properties and we prove that the imposed conditions are also necessary. Our results generalize the previous studies on this topic and provide as particular cases many interesting situations, among which we mention the detection of the exponential trichotomy of general non-autonomous systems.     

Subordinations for Functions with Positive Real Part

Some sufficient conditions are determined for certain first order differential subordinations to imply the corresponding analytic solution is subordinate to a rational, exponential, or sine function. By applying these results, we also obtain sufficient conditions for normalized analytic functions to be in certain well known subclasses of starlike functions.     

Optimal control of self-organized dynamics in cellular signal transduction

We demonstrate how model-based optimal control can be exploited in biological and biochemical modelling applications in several ways. In the first part, we apply optimal control to a detailed kinetic model of a glycolysis oscillator, which plays a central role in immune cells, in order to analyse potential regulatory mechanisms in the dynamics of associated signalling pathways. We demonstrate that the formulation of inverse problems with the aim to determine specific time-dependent input stimuli can provide important insight into dynamic regulations of self-organized cellular signal transduction. In the second part, we present an optimal control study aimed at target-oriented manipulation of a biological rhythm, an internal clock mechanism related to the circadian oscillator. This oscillator is responsible for the approximate endogenous 24 h (latin: circa dies) day-night rhythm in many organisms. On the basis of a kinetic model for the fruit fly Drosophila, we compute switching light stimuli via mixed-integer optimal control that annihilate the oscillations for a fixed time interval. Insight gained from such model-based specific manipulation may be promising in biomedical applications.     

The turnpike property in finite-dimensional nonlinear optimal control

Turnpike properties have been established long time ago in finite-dimensional optimal control problems arising in econometry. They refer to the fact that, under quite general assumptions, the optimal solutions of a given optimal control problem settled in large time consist approximately of three pieces, the first and the last of which being transient short-time arcs, and the middle piece being a long-time arc staying exponentially close to the optimal steady-state solution of an associated static optimal control problem. We provide in this paper a general version of a turnpike theorem, valuable for nonlinear dynamics without any specific assumption, and for very general terminal conditions. Not only the optimal trajectory is shown to remain exponentially close to a steady-state, but also the corresponding adjoint vector of the Pontryagin maximum principle. The exponential closedness is quantified with the use of appropriate normal forms of Riccati equations. We show then how the property on the adjoint vector can be adequately used in order to initialize successfully a numerical direct method, or a shooting method. In particular, we provide an appropriate variant of the usual shooting method in which we initialize the adjoint vector, not at the initial time, but at the middle of the trajectory.     

Optimal switching control for microbial fed-batch culture

In fed-batch culture of glycerol bio-dissimilation to 1,3-propanediol (1,3-PD), the aim of adding glycerol is to obtain as much 1,3-PD as possible. Hence, a proper feed strategy is required during the process. In this paper, we present an optimal switching control model based on our proposed controlled switching system. Some properties of the controlled switching system are obtained. Subsequently, we prove the existence of optimal control. In order to deduce the optimality conditions, we transcribe the optimal switching control model into an equivalent one with fixed switching instants and parameters. Finally, the optimality conditions of the equivalent problem are investigated by calculus of variations.     

基于近邻方法下分布参数的贝叶斯分析

本文基于近邻方法下,构造了连续型单参数指数族参数的经验Bayes(EB)检验函数,在适当的条件下证明了所提出的经验Bayes检验函数的大样本性质.     

The Optimal Control of a Train

We consider the problem of determining an optimal driving strategy in a train control problem with a generalised equation of motion. We assume that the journey must be completed within a given time and seek a strategy that minimises fuel consumption. On the one hand we consider the case where continuous control can be used and on the other hand we consider the case where only discrete control is available. We pay particular attention to a unified development of the two cases. For the continuous control problem we use the Pontryagin principle to find necessary conditions on an optimal strategy and show that these conditions yield key equations that determine the optimal switching points. In the discrete control problem, which is the typical situation with diesel-electric locomotives, we show that for each fixed control sequence the cost of fuel can be minimised by finding the optimal switching times. The corresponding strategies are called strategies of optimal type and in this case we use the Kuhn–Tucker equations to find key equations that determine the optimal switching times. We note that the strategies of optimal type can be used to approximate as closely as we please the optimal strategy obtained using continuous control and we present two new derivations of the key equations. We illustrate our general remarks by reference to a typical train control problem.     

On a New Class of Parallel Sequencing Situations and Related Games

This paper considers a special class of sequencing situations with two parallel machines in which each agent has precisely two jobs to be processed, one on each machine. The costs of an agent depend linearly on the final completion time of his jobs. We describe a procedure that provides an optimal processing order of the jobs for some particular classes. Furthermore, we study cooperative games arising from these sequencing situations. Our main result will be on the balancedness of these games.     

Optimal Compensation with Hidden Action and Lump-Sum Payment in a Continuous-Time Model

We consider a problem of finding optimal contracts in continuous time, when the agent’s actions are unobservable by the principal, who pays the agent with a one-time payoff at the end of the contract. We fully solve the case of quadratic cost and separable utility, for general utility functions. The optimal contract is, in general, a nonlinear function of the final outcome only, while in the previously solved cases, for exponential and linear utility functions, the optimal contract is linear in the final output value. In a specific example we compute, the first-best principal’s utility is infinite, while it becomes finite with hidden action, which is increasing in value of the output. In the second part of the paper we formulate a general mathematical theory for the problem. We apply the stochastic maximum principle to give necessary conditions for optimal contracts. Sufficient conditions are hard to establish, but we suggest a way to check sufficiency using non-convex optimization.     

Integral Equations, Dichotomy of Evolution Families on the Half-Line and Applications

The purpose of this paper is to provide a new, unified and complete study for uniform dichotomy and exponential dichotomy on the half-line. First we deduce conditions for the existence of uniform dichotomy, using classes of function spaces over _+{\mathbb {R}_+} which are invariant under translations. After that, we obtain a classification of the main classes of function spaces over \mathbb R₊{\mathbb {R}_+}, in order to deduce necessary and sufficient conditions for the existence of exponential dichotomy, emphasizing on the main technical qualitative properties of the underlying spaces. We motivate our approach by illustrative examples and show that the main hypotheses cannot be dropped. We provide optimal methods regarding the input space in the study of dichotomy and deduce as particular cases some interesting situations as well as several dichotomy results published in the past few years.     

Sequencing interval situations and related games

Uncertainty accompanies almost every situation in real world and it influences our decisions. In sequencing situations it may affect parameters used to determine an optimal order in the queue, and consequently the decision of whether (or not) to rearrange the queue by sharing the realized cost savings. This paper extends the analysis of one-machine sequencing situations and their related cooperative games to a setting with interval data, i.e. when the agents’ costs per unit of time and/or processing time in the system lie in intervals of real numbers obtained by forecasting their values. The question addressed here is: How to determine an optimal order (if the initial order in the queue is not so) and which approach should be used to motivate the agents to adopt the optimal order? This question is an important one that deserves attention both in theory and practice.     

Optimal ordering policy of a sequencing model

In this note, we are concerned with the study of a sequencing problem applicable to situations where the optimal choice amongn! sequences is sought. A class of sequencing problems is proposed. Based on the adjacent pairwise interchange of two objects, necessary and sufficient conditions for an optimal ordering policy are given. Examples from the literature are considered and shown to be special cases of the proposed model. The results of this paper improve recent results given in Refs. 1 and 2.The author would like to thank a referee for comments that improved the presentation of the paper. He also thanks Professor R. Combs of West Texas A&M University for comments.     

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考察一类Markov切换时变时滞随机系统的均方指数稳定性. 利用基于Liapunov函数和线性矩阵不等式的方法, 给出了使状态反馈控制系统能克服不确定性和随机干扰, 在均方意义下达到指数稳定的充分条件. 当Markov链遍历所有模态时, 给出了一个独立于Markov链模态集的增益矩阵, 使得状态反馈控制系统均方指数稳定     

Optimality Conditions for Switching Operator Differential Equations

We consider optimal switching of hybrid abstract evolution equations. The framework includes switching semilinear partial differential equations of parabolic or hyperbolic type, discontinuous state resets, switching costs and allows switching of the principle parts of the equations. We present adjoint-based formulae for the gradient of the cost functional with respect to position and number of switching time points that lead to first order necessary conditions. Moreover, we discuss an alternate-direction approach for implementing descent methods. As an application we consider optimal open/close-switching of valves and on/off-switching control of compressors in a gas network modelled by a graph with simplified euler equations on edges and suitable coupling conditions at nodes. (© 2017 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Exponential stability for nonlinear filtering

We study the a.s. exponential stability of the optimal filter w.r.t. its initial conditions. A bound is provided on the exponential rate (equivalently, on the memory length of the filter) for a general setting both in discrete and in continuous time, in terms of Birkhoff's contraction coefficient. Criteria for exponential stability and explicit bounds on the rate are given in the specific cases of a diffusion process on a compact manifold, and discrete time Markov chains on both continuous and discrete-countable state spaces. A similar question regarding the optimal smoother is investigated and a stability criterion is provided.